Non-parametric liquidity adjusted VaR model: A stochastic programming approach

Emmanuel Fragniere, Jacek Gondzio, Nils Tuchschmid, Qun Zhang

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Pages (from-to)111-118
JournalJournal of Financial Transformation
Volume28
Publication statusPublished - 2010

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